Revisiting purchasing power parity for East Asian countries: sequential panel selection method/ created by Dongxiang Zhang, Tsangyao Chang, Chia-Hao Lee and Ken Hung

By:

Zhang, Dongxiang [author]

Contributor(s):

Material type: Text

TextSeries: Applied economics letters ; Volume 20, number 1New York: Taylor and Francis, 2013Content type:

text

Media type:

unmediated

Carrier type:

volume

ISSN:

13504851

Subject(s):

Purchasing power parity -- Sequential panel selection method -- East Asian countries

LOC classification:

HB1.A666 APP

Online resources:

Click here to access online

Abstract: This study applies the Sequential Panel Selection Method (SPSM) procedure proposed by Chortareas and Kapetanios (2009) to test the validity of long-run Purchasing Power Parity (PPP) for a sample of East Asian countries over the period March 1985 to September 2011. SPSM classifies the whole panel into a group of stationary series and a group of nonstationary series. In doing so, we can clearly identify how many and which series in the panel are stationary processes. Empirical results from the SPSM using the Panel Kapetanios et al. (KSS) unit root test (Ucar and Omay, 2009) with a Fourier function indicate that PPP holds true for most of these East Asian countries studied, with the exception of Hong Kong. Our results have important policy implications for these East Asian countries under study.

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Item type	Current library	Call number	Vol info	Status	Notes	Date due	Barcode
Journal Article	Main Library - Special Collections	HB1.A666 APP (Browse shelf(Opens below))	Vol.20 , No.1 - 3 (Feb 2013)	Not for loan	For In House Use Only

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This study applies the Sequential Panel Selection Method (SPSM) procedure proposed by Chortareas and Kapetanios (2009) to test the validity of long-run Purchasing Power Parity (PPP) for a sample of East Asian countries over the period March 1985 to September 2011. SPSM classifies the whole panel into a group of stationary series and a group of nonstationary series. In doing so, we can clearly identify how many and which series in the panel are stationary processes. Empirical results from the SPSM using the Panel Kapetanios et al. (KSS) unit root test (Ucar and Omay, 2009) with a Fourier function indicate that PPP holds true for most of these East Asian countries studied, with the exception of Hong Kong. Our results have important policy implications for these East Asian countries under study.

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